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Does any retail data service provide historical quote data (i.e. best bid/ask) for futures (CME and CME owned exchanges), even if there is no trade? Tick or 1 second or 1 minute are all fine.
I have IQFeed subscription but its bid/ask data is attached to trades, i.e. if there is no trade (e.g. in the evening for some less liquid product) there is no bid/ask data, even if bid/ask is changing. That's problematic for our application.
I know for a fact Bloomberg, Reuters, Nanex, TickData.com etc. do provide tick-by-tick or second-by-second quotes data, but those are priced at >= a few hundred $ per symbol per year, or tens of thousands of $ per year subscription. Just wondering if I missed any good retail data provider at the cost level of IQFeed / CQG / Rithmic / Sierra Chart / Continuum / Zen-fire.
Thanks!!!
Can you help answer these questions from other members on NexusFi?
most traders stick to trading the high volume periods because of low slippage.
you need to buy Trades + Quotes data, which includes all quote changes, which is tens of thousands of dollars. You then use the quotes data to build your own bars.
I keep getting requests for people to share their GomRecorder data. A few threads have been started on the subject but not many are following thru it would seem.
I am collecting data from IQFeed via QCollector. All data contains bid/ask and is tick …
mike the problem he is referencing is that if there are no trades in a period, the bid/ask can still move around, and you have no way to know what it will be. i mean its probably still within range of whats reported in a previous or subsequent trades, but it could be a long time between trades.
No problem, have fun and happy to discuss any interesting findings.
@panz Actually, you didn't list my favorite vendors for this: I must say that OnixS and QuantHouse are the best options I've encountered, in descending order of preference. There's also 2 vendors that are inbetween, but wouldn't be suitable for a retail setting. That said, all 4 of them will be above your price point. Sent you a PM.
They call their service Nanotick. Another two vendors that I've come across are Algoseek (I think this is just a relabeling of TradingPhysics) and LOBSTER but I've never interacted with them. As far as I can tell, there's issues with all of them, and I can go into more detail if I know your specific use cases - PM me if you are on the cusp of buying anything.
nanotick is not operating at present. They directed me to ICE Futures for nanosecond data. ICE Futures is high-end and excellent. I think nanotick got their data from there originally (not sure 100%)
